Fixed Income Investor Presentation July 2012
Cautionary Note on Forward Looking Statements Today’s presentation may include forward-looking statements. These statements represent the Firm’s belief regarding future events that, by their nature, are uncertain and outside of the Firm’s control. The Firm’s actual results and financial condition may differ, possibly materially, from what is indicated in those forward-looking statements. For a discussion of some of the risks and factors that could affect the Firm’s future results, please see the description of “Risk Factors” in our annual report on Form 10-K for our fiscal year ended December 31, 2011. You should also read the information on the calculation of non-GAAP financial measures and the impact of Basel 3 that is posted on the Investor Relations portion of our website: www.gs.com. The statements in the presentation are current only as of its date, July 24, 2012. 1
1H12 Earnings Highlights $ in millions, except per share amounts Key Statistics Revenue Mix Net revenues: $16,576 Operating expenses: $11,980 Investing & Investment Pre-tax earnings: $4,596 Lending Banking 13% 14% Net earnings: $3,071 Earnings per common share: $5.72 Investment Book value per common share: $137.00 Management 15% Return on common 8.8% shareholders’ equity: FICC Client Execution 34% Commissions and fees 10% Equities Client Securities Execution Services 9% 5% 2
Our Risk Philosophy Senior management awareness of nature and Corporate Oversight amount of risk incurred Board of Directors Independence of process from the business Fair value accounting is a critical risk mitigant and is Senior Management supported by a robust price verification process (Chairman & CEO, President, CFO) Minimize losses and manage risk through: ― Active management Committee Oversight ― Risk mitigation, where possible using collateral Management Committee ― Diversification Firmwide Risk Committee (Credit, Market & ― Return hurdles matched to underlying risks Operational Risk) Overall risk tolerance established by assessment of Firmwide Finance Committee (Liquidity Risk) opportunity relative to potential loss Capital & Commitments Committees (Loan / ― Qualitative and quantitative analysis, but not a Underwriting Risk) specific formulaic link Firmwide Client & Business Standards Committee Variety of approaches used to monitor risk exposures (New Activities / Suitability) Effective risk systems, which are thorough, timely and flexible While we manage risk conservatively, we are in a Independent risk-taking business and will incur losses Control and Revenue Support Producing Units Functions 3
Selected European Market and Credit Exposures 2Q12, $ in billions We continue to take a prudent approach to our European exposure related to Greece, Ireland, Italy, Portugal and Spain Credit Exposure 1,2 Market Exposure 3,4 $3.9 $2.4 $3.4 $(1.5) $1.0 $2.4 $(3.4) $(1.0) Gross Hedges Net Funded Unfunded Total Credit Debt, Equities and Credit Derivatives Total Market Funded Exposure Exposure Exposure Other Exposure Exposure 1 Represents our credit exposure to all sovereigns, financial institutions and corporate counterparties or borrowers in Greece, Ireland, Italy, Portugal, and Spain 2 Gross Funded exposure includes Loans, OTC Derivatives (including the benefit of $6.9bn of cash and US Treasury securities collateral and excluding non-US government and agency obligations and corporate securities collateral of $279mm) and Other (including $4.6bn of secured receivables which are fully collateralized) 3 Represents our market exposure of our long and short inventory in which the issuer or underlier is located in Greece, Ireland, Italy, Portugal, and Spain 4 Credit Derivatives include written and purchased credit derivative notionals reduced by the fair values of such credit derivatives 4
Balance Sheet Balance sheet comprised of highly liquid assets with the vast majority marked-to-market daily — As of 2Q12, 93% of the balance sheet is liquid (cash, reverses / borrows, US government/agency and other financial instruments) Businesses subject to conservative balance sheet limits that are reviewed regularly and monitored daily, including aged inventory limits Asset-Liability Management 1 Total Assets: $949bn Other Assets Investing & 26% 3% Lending 5% 22% Excess Liquidity 93% and Cash 19% 21% 6% Institutional Client Secured Services 25% Client 46% Financing 7% 27% Assets Liabilities and Equity All Other Liabilities 1 More Liquid Assets Level 3 and Other Assets Payables to Customers Secured Funding Deposits Long-Term Debt and Equity 1 Includes payables to brokers, dealers and clearing organizations, financial instruments sold, but not yet purchased, unsecured short-term debt and other liabilities 5
Equity Capital Basel 3 Framework 1 ~10% ~1% ~8% ~1% Current Estimate 3Q12-2013 Consensus RWA Reduction YE2013 Roll-Forward Earnings¹ We have a strong capital position with an estimated pro-forma current Basel 3 Tier 1 Common ratio of nearly 8%, including the impact of the final Basel 2.5 market risk capital rule and the international rules for Basel 3 2 Based on the impact of a number of assumptions, primarily consensus net earnings and the continued passive roll-off of our mortgage securitization and credit correlation portfolios, our Basel 3 Tier 1 Common ratio would be nearly 10% by the end of 2013 — To be clear, this is not a forecast or a target, but rather a mathematical roll-forward based on these assumptions 1 Estimate does not include potential share repurchases or capital created through equity based compensation 2 Please read the Basel 3 impact materials that are posted on the Investor Relations portion of our website: www.gs.com 6
Global Core Excess Liquidity $ in billions Goldman Sachs’ most important liquidity policy is to pre-fund what it estimates will be its likely cash needs during a liquidity crisis. This “Global Core Excess” liquidity is composed of highly liquid securities that would be readily convertible to cash in a matter of days Average Global Core Excess 1 Pre-Funded Potential Outflows Contractual maturities: $174 $171 83% $170 $167 $165 $164 $164 Term deposit maturities Increase Debt maturities Customer behavior: $111 Buyback of debt $95 Draws on unfunded commitments Prime brokerage client cash outflows Market related: Collateral outflows due to market moves in our derivatives and financing transactions 2Q08 4Q08 2Q09 4Q09 2Q10 4Q10 2Q11 4Q11 2Q12 1 2Q08 Global Core Excess includes balances held at GS Bank; Prior to the fourth quarter of 2010, GCE had been reported at loan value and is now reported at fair value, consistent with current presentation 7
Secured Funding 2Q12 Secured: $199bn 1 23% of Liabilities Secured Funding Goals Commodities Other Our firmwide risk management approach carries 1% 3% Loans through to our secured funding book 2% Our secured funding book is governed by robust risk infrastructure and supported by sophisticated models Equities 10% We focus on two key risk mitigants: term and diversification Other — Structure book with significant term to mitigate Fixed Income rollover risk, especially for less liquid assets 8% — Diversify counterparts by sector and geography Liquid Gov'ts, Agencies, MBS 76% 1 Based on current assets allocated to secured funding trades 8
Secured Funding Term Primary focus on tenor of secured funding trades, targeting longer tenor trades for less liquid assets Weighted average maturity (WAM) of secured financing (excluding assets held for Global Core Excess) is in excess of 100 days, and has increased significantly in recent years Target excess secured funding capacity to reduce forward funding risk and enable balance sheet growth Model impact of multiple rollover risk scenarios on capacity to fund different assets in future time periods Non-GCE Secured Funding WAM Collateral Funding Maturity Profile ― Bank Loans ― Equities WAM ― ABS/CMBS/RMBS >100 Days > 100 days ― Corporates ― Municipals Non-GCE Secured Funding WAM >100 Days ― Commercial Paper WAM ― Governments <100 Days 2Q12 9
Secured Funding Diversification 12 Counterparty diversity is a key risk mitigant — Since 2008, we have enhanced sector and geography diversification of our secured funding counterparts 6% to 15% Jun-12 Aug-08 Geography Diversification Asia² Asia² Americas Americas EMEA¹ EMEA¹ 65% to 31% 19% to 23% Sector Diversification Non-Bank Non-Bank Bank Bank 1 EMEA (Europe, Middle East and Africa) 2 Asia includes Australia and New Zealand 10
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